by John Hill
Futures Truth Company has updated its table on the performance of publicity available trading systems.
Results are shown for the six months from August 1, 1987 to December 31, 1988. Similar tables covering
the most recent 12 months and the past four years, as well as detailed reports on each system, are
available from Futures Truth for $10.
Futures Truth has taken to covering black box systems as well as disclosed systems. We've published the
six-month table because it minimizes the ability of vendors to "fit" their systems to historical data. As we
understand it, all the programs in this table have been released to the market and their performance
figures are therefore "real time." The six-month period used here covered some spectacular market action.
Programs are ranked according to Pessimistic Return on Margin (PROM), a figure developed by
statistician Rod Sharp and popularized by Bo Thunman, head of Club 3000. This measure adjusts the
usual return on margin calculation by changing the return figure. You assume that the number of wins
will be fewer by the square root of the actual number and that the number of losses will be greater by the
square root of the actual number . Then, the resulting numbers of wins or losses are multiplied by the
average win or loss and the sum of the resulting wins/losses is divided by the required margin.